Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0028 |
| Annualized Std Dev | 0.1379 |
| Annualized Sharpe (Rf=0%) | 0.0204 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2889.0000 |
| NAs | 1.0000 |
| Minimum | -0.1307 |
| Quartile 1 | -0.0034 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0038 |
| Maximum | 0.0872 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0087 |
| Skewness | -1.8121 |
| Kurtosis | 38.2323 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0065 |
| Gain Deviation | 0.0060 |
| Loss Deviation | 0.0076 |
| Downside Deviation (MAR=210%) | 0.0116 |
| Downside Deviation (Rf=0%) | 0.0065 |
| Downside Deviation (0%) | 0.0065 |
| Maximum Drawdown | 0.3714 |
| Historical VaR (95%) | -0.0123 |
| Historical ES (95%) | -0.0203 |
| Modified VaR (95%) | -0.0115 |
| Modified ES (95%) | -0.0115 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2016-08-04 | 2020-03-23 | NA | -0.3714 | 1165 | 914 | NA |
| 2013-01-10 | 2013-12-11 | 2016-07-27 | -0.2638 | 893 | 233 | 660 |
| 2009-10-14 | 2011-01-19 | 2012-01-31 | -0.2202 | 579 | 319 | 260 |
| 2012-03-13 | 2012-03-16 | 2012-05-09 | -0.0743 | 41 | 4 | 37 |
| 2012-12-03 | 2012-12-17 | 2013-01-04 | -0.0564 | 23 | 11 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 | 0 | -0.8 | -0.5 | -0.9 |
| 2010 | -0.1 | -0.5 | 0.5 | 0.8 | -0.1 | 0.5 | 1.7 | -1.1 | 0.1 | -0.5 | 0.6 | 2.5 | 4.4 |
| 2011 | 0.6 | -0.2 | 1.2 | 0 | -0.2 | 0.4 | 1.2 | 0.9 | 0.1 | 0.1 | 0.2 | -0.7 | 3.7 |
| 2012 | -0.2 | 1.4 | -0.1 | 0.8 | -0.1 | 0.9 | 0.4 | 1 | 0.9 | 0.9 | 1.6 | -0.1 | 7.6 |
| 2013 | 0.2 | 0.2 | -2.1 | 0.6 | -0.6 | 1.2 | -1.4 | 0 | 0.3 | -1.6 | 0.4 | -0.6 | -3.3 |
| 2014 | 0.6 | -0.1 | -0.5 | 0.1 | -0.6 | -0.5 | 0.4 | 0.3 | 0.5 | 0.1 | 0.1 | 0.1 | 0.5 |
| 2015 | 0.4 | 1.5 | -0.6 | -0.6 | -0.1 | 0.5 | 0.3 | -0.1 | 0.3 | -0.1 | -0.1 | -0.1 | 1.4 |
| 2016 | 0.6 | -0.3 | 0.3 | -0.1 | 0 | 0.2 | -0.9 | 0.5 | 0.2 | 0.7 | -1.6 | 0.1 | -0.4 |
| 2017 | 0.1 | -0.4 | 0.1 | 0.1 | 0 | 0.2 | 0 | 0.1 | -0.1 | 0 | 0.1 | 0.1 | 0.3 |
| 2018 | 0 | -0.7 | 0 | 0.5 | 0.1 | -0.1 | -0.2 | -0.1 | 0.4 | 0.5 | 0.3 | -0.3 | 0.4 |
| 2019 | 0.3 | 0.4 | 0.4 | 0.6 | 0.2 | 0.2 | 0.7 | 0.1 | 0.1 | -0.1 | 0.1 | -0.1 | 2.9 |
| 2020 | 0 | -2.3 | -2.5 | 0.7 | 1.4 | 0.8 | 0.2 | 0.3 | 0 | -0.1 | -1 | 1.9 | -0.7 |
| 2021 | -0.1 | -2.9 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-09-25 15.0 SPY 104. -0.0053 -0.0213 0.0124 0.137 -0.135 -0.212 -0.0629 GLD 97 -0.0056 -0.0169
2 2009-09-28 15 SPY 106. 0.0179 -0.00120 0.0282 0.147 -0.120 -0.204 -0.04 GLD 97.0 0.0005 -0.0133
3 2009-09-29 15 SPY 106 -0.003 -0.01 0.0253 0.153 -0.0483 -0.207 -0.0474 GLD 97.4 0.0039 -0.0225
4 2009-09-30 15 SPY 106. -0.0039 -0.0056 0.0305 0.144 -0.0897 -0.210 -0.0559 GLD 98.8 0.0146 0.0002
5 2009-10-01 15.1 SPY 103 -0.0245 -0.0191 0.0279 0.147 -0.112 -0.229 -0.0784 GLD 97.9 -0.0097 0.0035
6 2009-10-02 15 SPY 102. -0.005 -0.0188 0.0267 0.141 -0.0837 -0.230 -0.0982 GLD 98.4 0.0049 0.0141
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
